A spectral EM algorithm for dynamic factor models

Realizamos dos contribuciones complementarias para estimar eficientemente modelos factoriales dinámicos: un algoritmo EM espectral y un procedimiento de inferencia indirecta iterada rapidísimo para modelos ARMA sin pérdida de eficiencia asintótica para cualquier número finito de iteraciones. Aunque nuestros métodos pueden estimar dichos modelos con muchas series sin buenas condiciones iniciales, cerca del óptimo recomendamos cambiar a un algoritmo del gradiente calculando analíticamente los gradientes espectrales usando el principio EM. Empleamos con éxito nuestros procedimientos para construir un índice que captura los movimientos comunes de las tasas de crecimiento del empleo a escala sectorial en Estados Unidos y lo comparamos con índices obtenidos con métodos semiparamétricosWe make two complementary contributions to effi ciently estimate dynamic factor models: a frequency domain EM algorithm and a swift iterated indirect inference procedure for ARMA models with no asymptotic effi ciency loss for any fi nite number of iterations. Although our procedures can estimate such models with many series without good initial values, near the optimum we recommend switching to a gradient method that analytically computes spectral scores using the EM principle. We successfully employ our methods to construct an index that captures the common movements of US sectoral employment growth rates, which we compare to the indices obtained by semiparametric method

Probability of informed trading on the euro overnight market rate: an update

In this paper the probability of informed trading (PIN) model developed by Easley and O’Hara (1992) is applied to analyze the role and impact of heterogeneities in euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN which measures the ability of traders to interpret signals on the expected evolution of the overnight rate. Results show that between 2000 and 2004 a heterogeneous learning process of market mechanisms within participants could be observed, whereas such asymmetries have been sharply decreasing since 2005. This is reviewed against some significant events that occurred in the euro money market, such as the reform of the Eurosystem’s operational framework in March 2004 and the recent financial market turmoil, which has represented a break in the steady decline of asymmetries as evidence suggest. JEL Classification: G14, E52Microstructure, money markets, PIN model

The determinants of public deficit volatility

This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using the system-GMM estimator for linear dynamic panel data models and a sample of 125 countries analyzed from 1980 to 2006, we show that higher public deficit volatility is typically associated with higher levels of political instability and less democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper-inflation episodes and for countries with a high degree of openness. JEL Classification: E31, E63institutions, political instability, public deficit, Volatility

Monetary stabilisation in a currency union of small open economies

This paper studies stabilisation policies in a multi-country currency union of small open economies. It abstracts from key factors favouring currency union formation, such as reduced transaction costs and enhanced credibility, which are exogenous to the factors studied here. Demand-side shocks hamper monetary union stabilisation unless members face identical output-inflation tradeoffs and their business cycles are perfectly synchronised. Under supply shocks, welfare implications from joining a currency union are less clear cut. In particular, when these shocks are common across participating countries a tradeoff arises whereby the latter benefit if they are relatively open but are at a disadvantage in case they are of small size. Monetary-fiscal interaction leads to a free rider problem, with area-wide supply shocks eliciting higher interest rate variability. Compared with the case of real wage rigidity, increased real wage flexibility mitigates the free rider problem. Higher trade union decentralisation overall favours a currency union. The present multi-country currency union setup should not be seen as an attempt at settling the sharp differences that exist in the literature. Our model could be modified in order to derive results that are valid in more realistic environments. These include the analysis of public debt considerations in the case of fiscal policies, and both institutional and (further) macroeconomic aspects in the area of wage determination

Poverty as Child Labor Internal Migration’s Determinant

Migration is an unavoidable problem for economic development in third world countries. Indonesia is an archipelagic country with high viscosity of its population’s internal migration. Over flooding wave of internal migration from periphery region to the core of growth poles increases the spatial disparities between regions. Not only for the labor force at their productive age, empirical evidences revealed the fact that the wave also involved children to work as a child labor. This research tries to estimate how does poverty in periphery determines the wave of migration toward urban agglomeration region as their core. Using data from the Indonesian Census 2000 for Java Island, global spatial effect and local statistics was estimated by spatial econometrics method.Child Labor, Internal Migration, Spatial Econometrics

Probability of informed trading on the euro overnight market rate: an update

In this paper the probability of informed trading (PIN) model developed by Easley and O’Hara (1992) is applied to analyze the role and impact of heterogeneities in euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN which measures the ability of traders to interpret signals on the expected evolution of the overnight rate. Results show that between 2000 and 2004 a heterogeneous learning process of market mechanisms within participants could be observed, whereas such asymmetries have been sharply decreasing since 2005. This is reviewed against some significant events that occurred in the euro money market, such as the reform of the Eurosystem’s operational framework in March 2004 and the recent financial market turmoil, which has represented a break in the steady decline of asymmetries as evidence suggest

Fault Diagnosis Method for Mobile Ad-hoc Network by Using Smart Neural Networks

AbstractMANETs are dynamic collection of autonomous nodes that communicate with each other via wireless connections. One of the events that the network should have expected it to be a fault, and the behavior is more important, in this network. So that fault diagnosis can effect on final performance of the network in such a way that it does not fall under the negative impact of the fault. A non-linear neural network is a statistical method for modeling data or the tools to make decisions. Artificial neural network is a method for pattern recognition and classification. Error detection is a problem of categorization or classification. The use of neural networks can be useful in fault diagnosis in MANETs because of fault diagnosis is a classification problem. But one problem with this method is placed in a local optimum. Here a method based on the combination of the back-propagation algorithm, a local search algorithm and learning automata as efficient global search, is proposed. In the proposed method, the algorithm of learning automata adjusting learning rate on neural network according to given formula. For training and testing the neural network of the mobile network parameters that were measured, were used as input and output. The results show that the proposed method in terms of repeatability, reliability and lack of placement in a local optimum is better

The Productivity Paradox and the New Economy: The Spanish Case

This paper studies the impact of the information and communication technologies (ICT) on economic growth in Spain using a dynamic general equilibrium approach. Contrary to previous works, we use a production function with six different capital inputs, three of them corresponding to ICT assets. Calibration of the model suggests that the contribution of ICT to Spanish productivity growth is very relevant, whereas the contribution of non-ICT capital has been even negative. Additionally, over the sample period 1995-2002, we find a negative TFP and productivity growth. These results together aim at the hypothesis that the Spanish economy could be placed within the productivity paradox.New economy, information and communication technologies, technological change, productivity paradox.

On Belief: Aims, Norms, and Functions

In this dissertation, I explore whether teleological, normative, and functional theories of belief each have the resources to answer three central questions about the nature and normativity of belief. These questions are: (i) what are beliefs, (ii), why do we have them, and (iii) how should we interpret doxastic correctness--the principle that it is correct to believe that p if and only if p? I argue that teleological and normative theories fail to adequately address these questions, and I develop and defend a functional alternative. In addition, I attempt to extend my functional theory of belief to account for another, related attitude: suspended belief

An Inventory Database, Evaluation and Monitoring of Especially Valuable Lands at the Regional Level in Ukraine

AbstractOn the one hand, the relevance in studying the Especially Valuable Lands (EVL) at the Regional Level is determined by their key role in ensuring food security. On the other hand - the irrational use of EVL and the lack of EVL's information in the cadastral- registration system in the cartographic materials. Also there is the lack of information in on-line mode on their spatial distribution, assessment and of course the current state. In the result of lack formed GIS data of EVL at the Regional Level it is almost impossible to conduct quantitative and qualitative recording, analysis of the condition of their using, assessment, management and protection of it.The main idea of this paper is to develop methodological and practical approaches to inventory, evaluation and monitoring of EVL at the Regional Level. Also approbation the results of the study on the example of the land resources of Vasylkiv District of the Kyiv Region are important.The main research methods were the following: statistical, cartographic, mathematical and cartographic methods of modeling.The result of the study is to develop methodological approaches in inventory of the EVL, their evaluation and monitoring at the Regional Level, based on extensive use of Remote Sensing and GIS technologies. In conclusion, the authors emphasize that the results will allow a deeper study of land-resource potential of the region and potential of its economic, environmental and other use. It will increase the investment attractiveness of the region; establish measures and guidelines for land management. As a result it will simulate the effects of human activities